I bet you thought I was talking about Europe's sovereign debt issue but no, I'm talking about the average trade size for equities trading across Europe having just received some fascinating data from the Federation of European Securities Exchanges (FESE).
The data shows a considerable change in the European equities markets over the past four years.
What the figures show is that the value per trade has been shrinking massively, thanks to high frequency trading and market volatility.
In 2008, the average daily trade on all European exchanges was for €19,000. Today, it’s just €7,900 per trade, and decreasing at a CAGR of 20%.
Even more interesting is the impact of the Multilateral Trading Facilities (MTFs), with BATS Chi-X trashing the market rising from an average daily turnover of €2.6 billion per day in 2008 to €7.9 billion today (it was €9.5 billion daily last year).
Turquoise has also seen an increase, from €200 million a day in 2008 to €1.6 billion a day today (€1.9 billion last year).
Who’s the loser?
LSE Group, NASDAQ and SIX Swiss Exchange who have seen their daily turnover halve from a combined €28.2 billion per day in 2008 to just €15.2 billion today.
If you’re into this stuff, here’s the spreadsheet Download FESE numbers (thanks to Diana Chan at EuroCCP for sending over).
Equally, if you’re into this stuff, you may want to come to the next Clearing & Settlement Working Group plenary meeting on 11th December at the offices of Kemp Little, 138 Cheapside (near St Paul’s).
The agenda is currently being firmed up, but will include:
- The Risk, Regulation, Infrastructures and Technology Subject Groups updating on progress to date;
- A special keynote from Mark Davies Vice President, Data Business Development, DTCC, who will cover the LEI story to date, DTCC's CICI utility, FSB progress and the next steps on global LEI programme;
- Details of the CAS-WG’s special and new partnership with the A-Team;
and a few other surprises.
Attendance is free so come along (just register here).